The Australian Security Exchange (ASX) boasts one of the biggest Exchange Traded Funds (ETF) in the region.

Go toASX website1and select 1 fund from each of the following category: A-REITS, Infrastructure Funds plus 2 funds from ETF & ETCs. Make sure these funds have been in the market for at least 30 months (August 2016 to August 2019). In addition, use the following criteria in your selection:

a.A-REITS:Use the first alphabet in yourlast nameto select the A-REITS with the same alphabet. i.e. if you name is Mitchell, then you could select either MPS, MGR or MIX. If your name is Horne and there is no fund starting with "H" on the list, then go to the next alphabet in the sequence. i.e. you could choose either IEF, IOF or ILF.

1. Infrastructure Fund:Any fund of your own choice.
2. International/Strategy ETF:selectonefrom either: International ETFs, International
3. Sector ETFS, Cash & Currency ETFs, Fixed Income ETFs or Commodity ETF & ETCs.

Form a portfolio and apply the following allocation

(a) A-REITS

(b) Infrastructure

(c) International/Strategy ETF

(d) Cash

20%

15%

55%

10%

Question (i)

1. Identify the two largest infrastructure assets owned by the infrastructure fund selected from part (b) over the last 2 financial years.This information available from the annual reports of the fund or DatAnalysis If the fund only owns one physical asset, such as Sydney Airport, list the two divisions which contribute the most revenue.
2. (i) Provide some justifications to your selection the fund from the list in (c).
3. (ii) Identify three potential factors that might influence the performance of this fund over the next 12 months.

Note:

There are thousand and one events happening in the market every day and financial markets

are closely integrated. The factors you have selected must have a direct impact to the fund of your choice. Otherwise one could relate the typhoon in Brisbane is set off by the flap of Butterfly's wings in Brazil.

Question (ii)

Download their monthlyclosing pricesfor the last 37 months (from DatAnalysis or Yahoo! Finance).

Using ASX S&P200 as the benchmark of your portfolio's return, measure the performance of the return of your portfolio:

1. 1)Calculate excess return of your portfolio.
2. 2)Calculate the absolute tracking error of your portfolio over the period.
3. 3)Discuss your observation from (1) and (2) above.

1http://www.asx.com.au/products/managed-funds-product-list.htm

FIN30016 Assignment 2

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Question (iii)

Investigate over the last 2 years, how much your investment portfolio is influenced by

• The returnof the Dow Jones Industrial Average Index? (you can also use the
• volatility as your proxy)
• What is the best allocation across these 3 funds if you wish to lower your overall return to total risk by 1%?
• Note:
• You can select which ever method of tracking error covered in Chapter 20 of the textbook.
• When you are trying to answer, if your portfolio is influenced by XYZ factor, you could use
• either regression analysis or correlation.
• Your answer to Q3 part (a) should not be just "yes", "no" or "I think". Provide some
• justifications in terms of "how strong/weak" the relationship is. That is your conclusion has to be justified by a quantitative measure. Making conclusions based on two lines on a graph does not meet the quantitative measure requirement. Actual investment is not just about some gut feeling.